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December 2010 Posterior simulation via the signed root log-likelihood ratio
S. A. Kharroubi, T. J. Sweeting
Bayesian Anal. 5(4): 787-815 (December 2010). DOI: 10.1214/10-BA528

Abstract

We explore the use of importance sampling based on signed root log-likelihood ratios for Bayesian computation. Approximations based on signed root log-likelihood ratios are used in two distinct ways; firstly, to define an importance function and, secondly, to define suitable control variates for variance reduction. These considerations give rise to alternative simulation-consistent schemes to MCMC for Bayesian computation in moderately parameterized regular problems. The schemes based on control variates can also be viewed as usefully supplementing computations based on asymptotic approximations by supplying external estimates of error. The methods are illustrated by a genetic linkage model and a censored regression model.

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S. A. Kharroubi. T. J. Sweeting. "Posterior simulation via the signed root log-likelihood ratio." Bayesian Anal. 5 (4) 787 - 815, December 2010. https://doi.org/10.1214/10-BA528

Information

Published: December 2010
First available in Project Euclid: 19 June 2012

zbMATH: 1330.65030
MathSciNet: MR2740157
Digital Object Identifier: 10.1214/10-BA528

Keywords: Bayesian computation , control variates , importance sampling , Signed root log-likelihood ratio , variance reduction

Rights: Copyright © 2010 International Society for Bayesian Analysis

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Vol.5 • No. 4 • December 2010
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